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Central Limit Theorems for Permuted Regenerative Estimators

Simulation and Modeling Laboratory, Department of Computer and Information Science, New Jersey Institute of Technology, Newark, New Jersey 07102-1982
Simulation and Modeling Laboratory, Department of Computer and Information Science, New Jersey Institute of Technology, Newark, New Jersey 07102-1982
calvin{at}cis.njit.edu
marvin{at}cis.njit.edu

We prove strong laws of large numbers and central limit theorems for some permuted estimators from regenerative simulations. These limit theorems provide the basis for constructing asymptotically valid confidence intervals for the permuted estimators.

Subject classifications: Simulation, effciency: variance reduction techniques; Simulation, statistical analysis: regenerative simulation; Probability, regenerative processes.
History: Received October 1997; revision received May 1998; revision received October 1998; accepted November 1998.

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